Dominant Factors in Dollar-Sterling Exchange Rate Movements, 1965-1981

Steve H. Thomas and G.W. McKenzie

Working Paper from Economics Department, Queen's University

Abstract: We emphasize the need to extend the conventional range of financial items considered in bilateral portfolio models to reflect the reality of a sophisticated modern financial world by introducing euro-sterling assets and liabilities into our analysis. The emphasis in "efficiency" and R.E. has lead researchers to focus on essentially static empirical models of exchange rates. It may be more sensible to start from a more general distributed lag model and explicitly recognise the adjustment lags and market-imperfections which exist in practice. The forward exchange rate, interest differential forward rate and the spot rate are modelled jointly in our framework.

Pages: 30 pages
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:640

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